No, there are no actual trains in "King of the Bingo." But there are two imaginary ones. We see the first one relatively early in the story, as the protagonist falls asleep and has a dream based on an incident in his childhood. As a boy in the South, he used to run in front of trains on the tracks before jumping off to the side. In his dream, however, he sees "with terror that the train had left the track and was following him right down the middle of the street, and all the white people laughing as he ran screaming" (9). We interpret this incident as being associated with the oppression he experiences as a African-American man in the South at this time. The train becomes a metaphor for the oppressive system he is trapped in, the system that he is trying to escape but ultimately cannot.
We see another train in the text (in paragraph 74) as the protagonist stands on stage and screams back at the raging audience. He feels as though he is running on train tracks with Laura in his arms but cannot leave the tracks or outrun the train. Again, the train is a metaphor for the system he is trying to escape, only this time Laura's life also depends on breaking free of the system. As a side note, this is a beautiful example of the musical talent Ellison brings to the text. We can view the recurring train as a type of literary riff. (See "Writing Style" for more on the musical influences in "King of the Bingo Game.")